Optimally Weighted Realized Volatility

Material type: 文書・図像類

Author: Kanatani, Taro

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Publication date: 2005-10

Material Format: Digital

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Note (General)：: In this paper we deﬁne a class of estimators for cross-volatility (conditional covariance between two asset returns) by weighted sum of products of tw...

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Material Type: 文書・図像類
Title: Optimally Weighted Realized Volatility
Author/Editor: Kanatani, Taro
Author Heading: Kanatani, Taro
Publication Date: 2005-10
Publication Date (W3CDTF): 2005-10
Periodical title: CAEA Discussion Paper
No. or year of volume/issue: 26
Volume: 26
Text Language Code: eng
Subject Heading: Integrated (cross) volatility
Unevenly sampled observations
Fourier series estimator
Weighted realized volatility
Target Audience: 一般
Note (General): In this paper we deﬁne a class of estimators for cross-volatility (conditional covariance between two asset returns) by weighted sum of products of two return series. This class nests several estimators and each estimator is characterized by its weight matrix. We derive the MSE-minimizing weight and introduce a feasible example. Our method for measuring cross-volatility is well applicable to nonsynchronous observations.
Format (IMT): application/pdf
Source: http://ir.lib.hiroshima-u.ac.jp/14537/files/12947 （fulltext）
http://ir.lib.hiroshima-u.ac.jp/14537/files/12947
Access Restrictions: インターネット公開
Is Version Of (URI): http://www.kier.kyoto-u.ac.jp/coe21/result-DP.html
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http://www.kier.kyoto-u.ac.jp/coe21/result-DP.html
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 広島大学 : 広島大学学術情報リポジトリ